An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making
Li, JP; Wei, LW; Li, G; Xu, WX
发表期刊DECISION SUPPORT SYSTEMS
关键词Multi-criteria Programming Multiple Kernels Evolution Strategies Credit Risk Decision Making
摘要Credit risk analysis has long attracted a great deal of attention from both academic researchers and practitioners. However, because of the recent financial crisis, this field continues to draw ever increasingly attention. A multiple kernels multi-criteria programming approach based on evolution strategy (ES-MK-MCP) is proposed for credit decision making in this study. We introduce a linear combination of kernel functions to enhance the interpretability of credit classification models, and propose an alternative to optimize the parameters based on the evolution strategy. For illustration purpose, two UCI credit card data sets are used to verify the effectiveness and feasibility of the proposed model. As the experimental results reveal, the proposed ES-MK-MCP model is an efficient tool for credit risk analysis, especially for decision makers to identify the most relevant features. (C) 2010 Elsevier B.V. All rights reserved.
2011
卷号51期号:2页码:7,292-298
ISSN0167-9236
学科领域Computer Science ; Artificial Intelligence ; Information Systems ; Computer Science ; Operations Research & Management Science
收录类别SCI
语种英语
WOS记录号WOS:000290193100006
引用统计
被引频次:37[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符http://ir.casisd.cn/handle/190111/4289
专题中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
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Li, JP,Wei, LW,Li, G,et al. An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making[J]. DECISION SUPPORT SYSTEMS,2011,51(2):7,292-298.
APA Li, JP,Wei, LW,Li, G,&Xu, WX.(2011).An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making.DECISION SUPPORT SYSTEMS,51(2),7,292-298.
MLA Li, JP,et al."An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making".DECISION SUPPORT SYSTEMS 51.2(2011):7,292-298.
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